中国商品期货市场对海外市场过度反应的实证研究

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1、硕士学位论文中国商品期货市场对海外市场过度反应的实证研究EMPIRICALSTUDYONCHINESEFUTUREMARKETS’OVERREACTIONTOFOREIGNMARKETS作者：李琼导师：郭明教授上海交通大学上海高级金融学院二○一三年四月EmpiricalStudyonChineseCommodityFutureMarkets’OverreactiontoForeignMarketsByLiQiongUndertheSupervisionofProfessorGuoMingSubmittedinPartialFulfilmentoftheRequireme

2、ntsFortheDegreeofMasterinFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaotongUniversityApril2013ContentsAbstract…………………………………………………………………………...iChapter1Introduction...........................................................................................11.1Background..............

3、................................................................................11.2Researchpurpose.....................................................................................31.3Structureofthispaper..............................................................................4C

4、hapter2Literaturereview....................................................................................52.1Researchesondynamicrelationoftworelatedmarkets..........................52.2Researchesontheoverreactionofthefinancialmarket..........................7Chapter3Overreaction.......

5、.................................................................................103.1Definition:..............................................................................................103.2ThepsychologicalbasisforOverreaction..............................................103.2.1Cog

6、nitivebiasesofInstitutionalinvestors..................................113.2.2CognitivebiasesofIndividualinvestors.....................................123.3Tradingrulesmaketheoverreactionmoresignificant...........................13Chapter4Methodology.......................................

7、................................................164.1UnitRootTest&GrangerCausalityTest...............................................174.2RegressionModels.................................................................................19Chapter5EmpiricalStudy.............